Bootstrap score tests for fractional integration in heteroskedastic ARFIMA Models, with an application to price dynamics in commodity spot and futures markets
Year of publication: |
2014
|
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Authors: | Cavaliere, Giuseppe ; Nielsen, Morten Ørregaard ; Taylor, Robert |
Publisher: |
Aarhus : School of Economics and Management |
Subject: | Rohstoffderivat | Commodity derivative | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | ARMA-Modell | ARMA model | Schätzung | Estimation | Schätztheorie | Estimation theory | Heteroskedastizität | Heteroscedasticity | Rohstoffpreis | Commodity price |
Extent: | Online-Ressource (36 S.) |
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Series: | CREATES research paper. - Aarhus : [Verlag nicht ermittelbar], ZDB-ID 2490360-7. - Vol. 2014,22 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Notes: | Systemvoraussetzungen: Acrobat Reader |
Source: | ECONIS - Online Catalogue of the ZBW |
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